no code implementations • 30 Sep 2020 • Eric Benhamou, David Saltiel, Sandrine Ungari, Abhishek Mukhopadhyay, Jamal Atif
Can an agent learn efficiently in a noisy and self adapting environment with sequential, non-stationary and non-homogeneous observations?
no code implementations • 30 Sep 2020 • Eric Benhamou, David Saltiel, Sandrine Ungari, Abhishek Mukhopadhyay
While researchers in the asset management industry have mostly focused on techniques based on financial and risk planning techniques like Markowitz efficient frontier, minimum variance, maximum diversification or equal risk parity, in parallel, another community in machine learning has started working on reinforcement learning and more particularly deep reinforcement learning to solve other decision making problems for challenging task like autonomous driving, robot learning, and on a more conceptual side games solving like Go.
no code implementations • 16 Sep 2020 • Eric Benhamou, David Saltiel, Sandrine Ungari, Abhishek Mukhopadhyay
Can an asset manager plan the optimal timing for her/his hedging strategies given market conditions?